How to adjust how a mesh looks in-between shape keys?
Shapekeys are not a very solid alternative to rigging. The way shapekeys work is by exclusively translating each vertex from the Basis to the shapekey. The shortest way to do this would be by translating each vertex in the way you see in your "in-between". Shapekeys should only be used for things such as facial expressions, correcting armature deforms, etc.  In short, the inbetweens cannot be controlled, you're going to have to rig that finger if you want it to move correctly